Dilatation monotone risk measures are law invariant

Finance and Stochastics

Volumn 11, Issue 2, 2007, Pages 291-298

  Cherny, Alexander S ^a   Grigoriev, Pavel G ^b  

^a MOSCOW STATE UNIVERSITY   (Russian Federation)

^b UNIVERSITY OF LEICESTER   (United Kingdom)

Author keywords

Coherent risk measures; Convex risk measures; Dilatation monotonicity; Factor monotonicity; Fatou property; Law invariance; Second order stochastic dominance

Indexed keywords

EID: 33847415868     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-007-0034-8     Document Type: Article

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